If you have more than one shadow then you have more than one light turned on. Go into the ‘Light’ palette, and see how many light switches are turned on (highlighted). Select one by clicking on it then open the ‘Lights Properties’ subpalette. If ‘Shadow’ is enabled for that light then turn it off to see if that’s the one you want off. Do the same for any other light switches that are highlighted.
When testing and making changes then doing a BPR render you will have to rotate the model slightly (click+drag on canvas) after the change or ZBrush will think you didn’t make any changes and render the same thing over again.
Now, the “fat guy clown” project you are using uses both Standard lights and Light Cap. The multiple shadows you are getting is a result of the Light Cap. Light Caps are a little tricky so I would suggest you just stick to Standard lights, if you havn’t had a lot of experience with Light Caps.
HTH…Let me know if you need more help.